USO Options History — October 2010

In October 2010, USO traded between $34.62 and $36.28. ATM implied volatility averaged 29.0%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 2.3% (HV 20d: 26.7%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2010-10-07: Highest Volume — 94,445 contracts
  • 2010-10-04: Largest IV spike — 22.3% change
  • 2010-10-04: Highest IV Rank — 43.7%
  • 2010-10-21: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.63$34.62$36.28$35.63$35.17
Max Pain$34.71$33.00$35.00$35.00$35.00
ATM IV29.0%25.6%31.3%25.6%30.9%
Expected Move8.4%7.6%8.8%7.6%8.5%
HV 20d26.7%22.8%31.9%23.6%28.5%
HV 60d27.0%25.7%28.4%26.6%27.4%
IV Rank34.5%21.1%43.7%21.1%41.8%
IV Percentile34.6%6.3%55.6%6.3%55.6%
Term Structure0.6%-0.1%1.3%1.0%0.5%
VWIV29.9%27.6%31.3%27.6%29.5%
Skew 25d3.5%2.6%4.6%3.4%3.8%
Skew 10d5.3%1.7%8.2%6.4%5.5%
Call IV 25d28.1%25.7%29.5%25.7%27.8%
Put IV 25d31.6%29.1%32.9%29.1%31.6%
Bid-Ask Spread %3.402.157.577.574.11
Gamma HHI0.090.080.120.090.09
Net GEX6.0M2.1M11.1M5.1M5.2M
Net DEX-158.9M-288.9M-8.5M-173.7M-96.9M
Net VEX-4.0M-4.4M-3.6M-3.6M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.421.450.640.46
Total Volume55,15123,86894,44591,86339,627
Total OI1,082,501.81845,8941,258,5161,121,5991,020,123

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$35.63$35.0025.6%7.6%23.6%21.1%27.6%3.4%1.0%5.1M-173.7M-3.6M0.647.5755,96935,894640,391481,208
2010-10-04$35.59$33.0031.3%8.1%23.3%43.7%29.1%3.1%1.3%4.2M-150.9M-3.6M0.863.8629,87225,811647,764487,199
2010-10-05$36.09$33.0030.1%8.3%23.0%39.0%29.0%3.1%0.4%6.8M-234.5M-3.6M0.452.3958,70226,206658,262495,665
2010-10-06$36.28$34.0027.4%8.1%22.8%28.0%29.0%2.6%1.0%9.7M-288.9M-3.7M0.863.1034,34129,578682,996504,273
2010-10-07$35.46$34.0028.6%8.6%24.5%32.9%29.9%2.9%0.3%3.4M-117.1M-3.8M0.823.0551,78542,660691,079511,140
2010-10-08$36.15$35.0027.1%8.5%23.7%26.9%29.7%2.9%0.1%7.9M-270.8M-4.0M0.512.7135,73718,158700,581520,040
2010-10-11$35.60$35.0028.2%8.5%24.6%31.3%30.4%3.5%0.1%4.0M-181.2M-3.9M0.422.4128,67811,951703,457515,299
2010-10-12$35.65$35.0027.3%8.6%24.5%27.7%30.3%2.6%0.2%5.2M-173.0M-4.0M0.482.9027,70913,262714,472521,057
2010-10-13$36.16$35.0026.0%8.5%24.2%22.5%30.1%3.1%-0.1%10.4M-275.3M-3.9M0.492.7829,54814,415719,194522,803
2010-10-14$36.00$35.0029.7%8.5%23.3%37.2%30.1%2.8%0.7%11.1M-257.3M-4.0M1.125.8222,77225,395726,855525,291
2010-10-15$35.47$35.0030.6%8.8%23.8%40.7%31.1%3.9%0.7%3.6M-134.9M-3.9M0.832.6342,59735,153726,898531,618
2010-10-18$36.28$35.0028.8%8.3%24.2%33.9%29.1%4.0%0.5%6.2M-182.2M-4.0M0.492.1543,79121,301503,459342,435
2010-10-19$34.62$35.0030.5%8.7%29.5%40.5%31.2%3.3%0.2%2.9M-8.5M-4.0M0.975.4234,57033,579529,403351,199
2010-10-20$35.59$35.0029.7%8.5%30.6%37.3%31.3%4.5%0.9%6.6M-124.7M-4.1M1.332.4631,08141,306544,639363,230
2010-10-21$34.85$35.0030.6%8.8%31.9%40.8%31.2%3.7%0.5%2.1M-16.3M-4.2M0.872.7627,68524,185554,802383,088
2010-10-22$35.49$35.0029.8%8.5%31.7%37.6%30.3%3.8%0.8%5.2M-105.1M-4.2M1.255.1114,94518,628568,235392,837
2010-10-25$35.57$35.0029.3%8.4%31.5%35.8%30.5%4.2%0.7%6.0M-124.5M-4.2M0.492.5832,42715,824566,713390,643
2010-10-26$35.68$35.0028.7%8.2%31.5%33.4%29.8%4.6%0.8%7.5M-167.3M-4.3M1.112.8013,94715,504588,474396,442
2010-10-27$35.42$35.0029.6%8.5%30.9%36.7%29.8%4.5%1.0%6.4M-125.2M-4.4M1.452.3812,13717,573596,400405,281
2010-10-28$35.39$35.0029.5%8.5%29.6%36.5%28.9%4.2%0.9%6.6M-129.5M-4.4M0.552.5015,3508,518600,033407,560
2010-10-29$35.17$35.0030.9%8.5%28.5%41.8%29.5%3.8%0.5%5.2M-96.9M-4.3M0.464.1127,06312,564607,762412,361